Stock Analysis on Net
Stock Analysis on Net

Express Scripts Holding Co. (NASDAQ:ESRX)

¡Esta empresa ha sido trasladada al archivo! Los datos financieros no se han actualizado desde el 31 de octubre de 2018.

Modelo de fijación de precios de activos de capital (CAPM) 

Microsoft Excel

El modelo de fijación de precios de activos de capital (CAPM, por sus siglas en inglés) indica cuál debería ser la tasa de rendimiento esperada o requerida en activos de riesgo como las acciones ordinarias de Express Scripts.

Tasas de retorno

Express Scripts Holding Co., tasas mensuales de retorno

Microsoft Excel
Express Scripts Holding Co. (ESRX) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioESRX,t1 DividendoESRX,t1 RESRX,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2013 $53.42 1,498.11
1. 28 feb. 2013 $56.93 6.57% 1,514.68 1.11%
2. 31 mar. 2013 $57.62 1.21% 1,569.19 3.60%
3. 30 abr. 2013 $59.37 3.04% 1,597.57 1.81%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2017 $65.18 6.35% 2,647.58 2.81%
59. 31 dic. 2017 $74.64 14.51% 2,673.61 0.98%
Promedio (R): 0.73% 1.02%
Desviación estándar: 5.71% 2.71%
Express Scripts Holding Co. (ESRX) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioESRX,t1 DividendoESRX,t1 RESRX,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2013 $53.42 1,498.11
1. 28 feb. 2013 $56.93 6.57% 1,514.68 1.11%
2. 31 mar. 2013 $57.62 1.21% 1,569.19 3.60%
3. 30 abr. 2013 $59.37 3.04% 1,597.57 1.81%
4. 31 may. 2013 $62.12 4.63% 1,630.74 2.08%
5. 30 jun. 2013 $61.74 -0.61% 1,606.28 -1.50%
6. 31 jul. 2013 $65.55 6.17% 1,685.73 4.95%
7. 31 ago. 2013 $63.88 -2.55% 1,632.97 -3.13%
8. 30 sept. 2013 $61.80 -3.26% 1,681.55 2.97%
9. 31 oct. 2013 $62.52 1.17% 1,756.54 4.46%
10. 30 nov. 2013 $67.35 7.73% 1,805.81 2.80%
11. 31 dic. 2013 $70.24 4.29% 1,848.36 2.36%
12. 31 ene. 2014 $74.69 6.34% 1,782.59 -3.56%
13. 28 feb. 2014 $75.31 0.83% 1,859.45 4.31%
14. 31 mar. 2014 $75.09 -0.29% 1,872.34 0.69%
15. 30 abr. 2014 $66.58 -11.33% 1,883.95 0.62%
16. 31 may. 2014 $71.47 7.34% 1,923.57 2.10%
17. 30 jun. 2014 $69.33 -2.99% 1,960.23 1.91%
18. 31 jul. 2014 $69.65 0.46% 1,930.67 -1.51%
19. 31 ago. 2014 $73.93 6.15% 2,003.37 3.77%
20. 30 sept. 2014 $70.63 -4.46% 1,972.29 -1.55%
21. 31 oct. 2014 $76.82 8.76% 2,018.05 2.32%
22. 30 nov. 2014 $83.15 8.24% 2,067.56 2.45%
23. 31 dic. 2014 $84.67 1.83% 2,058.90 -0.42%
24. 31 ene. 2015 $80.71 -4.68% 1,994.99 -3.10%
25. 28 feb. 2015 $84.79 5.06% 2,104.50 5.49%
26. 31 mar. 2015 $86.77 2.34% 2,067.89 -1.74%
27. 30 abr. 2015 $86.40 -0.43% 2,085.51 0.85%
28. 31 may. 2015 $87.14 0.86% 2,107.39 1.05%
29. 30 jun. 2015 $88.94 2.07% 2,063.11 -2.10%
30. 31 jul. 2015 $90.07 1.27% 2,103.84 1.97%
31. 31 ago. 2015 $83.60 -7.18% 1,972.18 -6.26%
32. 30 sept. 2015 $80.96 -3.16% 1,920.03 -2.64%
33. 31 oct. 2015 $86.38 6.69% 2,079.36 8.30%
34. 30 nov. 2015 $85.48 -1.04% 2,080.41 0.05%
35. 31 dic. 2015 $87.41 2.26% 2,043.94 -1.75%
36. 31 ene. 2016 $71.87 -17.78% 1,940.24 -5.07%
37. 29 feb. 2016 $70.38 -2.07% 1,932.23 -0.41%
38. 31 mar. 2016 $68.69 -2.40% 2,059.74 6.60%
39. 30 abr. 2016 $73.73 7.34% 2,065.30 0.27%
40. 31 may. 2016 $75.55 2.47% 2,096.95 1.53%
41. 30 jun. 2016 $75.80 0.33% 2,098.86 0.09%
42. 31 jul. 2016 $76.07 0.36% 2,173.60 3.56%
43. 31 ago. 2016 $72.70 -4.43% 2,170.95 -0.12%
44. 30 sept. 2016 $70.53 -2.98% 2,168.27 -0.12%
45. 31 oct. 2016 $67.40 -4.44% 2,126.15 -1.94%
46. 30 nov. 2016 $75.88 12.58% 2,198.81 3.42%
47. 31 dic. 2016 $68.79 -9.34% 2,238.83 1.82%
48. 31 ene. 2017 $68.88 0.13% 2,278.87 1.79%
49. 28 feb. 2017 $70.65 2.57% 2,363.64 3.72%
50. 31 mar. 2017 $65.91 -6.71% 2,362.72 -0.04%
51. 30 abr. 2017 $61.34 -6.93% 2,384.20 0.91%
52. 31 may. 2017 $59.75 -2.59% 2,411.80 1.16%
53. 30 jun. 2017 $63.84 6.85% 2,423.41 0.48%
54. 31 jul. 2017 $62.64 -1.88% 2,470.30 1.93%
55. 31 ago. 2017 $62.82 0.29% 2,471.65 0.05%
56. 30 sept. 2017 $63.32 0.80% 2,519.36 1.93%
57. 31 oct. 2017 $61.29 -3.21% 2,575.26 2.22%
58. 30 nov. 2017 $65.18 6.35% 2,647.58 2.81%
59. 31 dic. 2017 $74.64 14.51% 2,673.61 0.98%
Promedio (R): 0.73% 1.02%
Desviación estándar: 5.71% 2.71%

Mostrar todo

1 Datos en dólares estadounidenses por acción ordinaria, ajustados por divisiones y dividendos de acciones.

2 Tasa de rendimiento de las acciones ordinarias de ESRX durante el período t.

3 Tasa de rendimiento del S&P 500 (el proxy de la cartera de mercado) durante el período t.

Varianza y covarianza

Express Scripts Holding Co., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RESRX,t RS&P 500,t (RESRX,t–RESRX)2 (RS&P 500,t–RS&P 500)2 (RESRX,t–RESRX)×(RS&P 500,t–RS&P 500)
1. 28 feb. 2013 6.57% 1.11% 34.11 0.01 0.49
2. 31 mar. 2013 1.21% 3.60% 0.23 6.64 1.24
3. 30 abr. 2013 3.04% 1.81% 5.32 0.62 1.81
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2017 6.35% 2.81% 31.54 3.19 10.03
59. 31 dic. 2017 14.51% 0.98% 189.98 0.00 -0.54
Total (Σ): 1,888.17 424.45 388.57
t Fecha RESRX,t RS&P 500,t (RESRX,t–RESRX)2 (RS&P 500,t–RS&P 500)2 (RESRX,t–RESRX)×(RS&P 500,t–RS&P 500)
1. 28 feb. 2013 6.57% 1.11% 34.11 0.01 0.49
2. 31 mar. 2013 1.21% 3.60% 0.23 6.64 1.24
3. 30 abr. 2013 3.04% 1.81% 5.32 0.62 1.81
4. 31 may. 2013 4.63% 2.08% 15.22 1.11 4.11
5. 30 jun. 2013 -0.61% -1.50% 1.80 6.36 3.39
6. 31 jul. 2013 6.17% 4.95% 29.60 15.40 21.35
7. 31 ago. 2013 -2.55% -3.13% 10.75 17.24 13.61
8. 30 sept. 2013 -3.26% 2.97% 15.89 3.81 -7.78
9. 31 oct. 2013 1.17% 4.46% 0.19 11.81 1.49
10. 30 nov. 2013 7.73% 2.80% 48.93 3.18 12.47
11. 31 dic. 2013 4.29% 2.36% 12.68 1.78 4.75
12. 31 ene. 2014 6.34% -3.56% 31.42 20.98 -25.67
13. 28 feb. 2014 0.83% 4.31% 0.01 10.82 0.33
14. 31 mar. 2014 -0.29% 0.69% 1.05 0.11 0.34
15. 30 abr. 2014 -11.33% 0.62% 145.53 0.16 4.85
16. 31 may. 2014 7.34% 2.10% 43.75 1.17 7.15
17. 30 jun. 2014 -2.99% 1.91% 13.87 0.78 -3.29
18. 31 jul. 2014 0.46% -1.51% 0.07 6.40 0.68
19. 31 ago. 2014 6.15% 3.77% 29.32 7.53 14.85
20. 30 sept. 2014 -4.46% -1.55% 26.98 6.62 13.37
21. 31 oct. 2014 8.76% 2.32% 64.54 1.68 10.43
22. 30 nov. 2014 8.24% 2.45% 56.39 2.05 10.75
23. 31 dic. 2014 1.83% -0.42% 1.20 2.08 -1.58
24. 31 ene. 2015 -4.68% -3.10% 29.24 17.03 22.31
25. 28 feb. 2015 5.06% 5.49% 18.70 19.95 19.32
26. 31 mar. 2015 2.34% -1.74% 2.58 7.63 -4.43
27. 30 abr. 2015 -0.43% 0.85% 1.34 0.03 0.20
28. 31 may. 2015 0.86% 1.05% 0.02 0.00 0.00
29. 30 jun. 2015 2.07% -2.10% 1.78 9.76 -4.17
30. 31 jul. 2015 1.27% 1.97% 0.29 0.91 0.51
31. 31 ago. 2015 -7.18% -6.26% 62.63 53.00 57.62
32. 30 sept. 2015 -3.16% -2.64% 15.12 13.44 14.26
33. 31 oct. 2015 6.69% 8.30% 35.57 52.94 43.40
34. 30 nov. 2015 -1.04% 0.05% 3.14 0.94 1.72
35. 31 dic. 2015 2.26% -1.75% 2.33 7.70 -4.24
36. 31 ene. 2016 -17.78% -5.07% 342.57 37.16 112.83
37. 29 feb. 2016 -2.07% -0.41% 7.86 2.06 4.02
38. 31 mar. 2016 -2.40% 6.60% 9.81 31.10 -17.46
39. 30 abr. 2016 7.34% 0.27% 43.65 0.57 -4.97
40. 31 may. 2016 2.47% 1.53% 3.02 0.26 0.89
41. 30 jun. 2016 0.33% 0.09% 0.16 0.87 0.37
42. 31 jul. 2016 0.36% 3.56% 0.14 6.44 -0.95
43. 31 ago. 2016 -4.43% -0.12% 26.63 1.31 5.90
44. 30 sept. 2016 -2.98% -0.12% 13.80 1.31 4.26
45. 31 oct. 2016 -4.44% -1.94% 26.71 8.79 15.32
46. 30 nov. 2016 12.58% 3.42% 140.45 5.74 28.39
47. 31 dic. 2016 -9.34% 1.82% 101.49 0.64 -8.04
48. 31 ene. 2017 0.13% 1.79% 0.36 0.59 -0.46
49. 28 feb. 2017 2.57% 3.72% 3.38 7.28 4.96
50. 31 mar. 2017 -6.71% -0.04% 55.35 1.13 7.90
51. 30 abr. 2017 -6.93% 0.91% 58.74 0.01 0.87
52. 31 may. 2017 -2.59% 1.16% 11.04 0.02 -0.45
53. 30 jun. 2017 6.85% 0.48% 37.39 0.29 -3.31
54. 31 jul. 2017 -1.88% 1.93% 6.81 0.83 -2.38
55. 31 ago. 2017 0.29% 0.05% 0.20 0.94 0.43
56. 30 sept. 2017 0.80% 1.93% 0.00 0.82 0.06
57. 31 oct. 2017 -3.21% 2.22% 15.50 1.43 -4.71
58. 30 nov. 2017 6.35% 2.81% 31.54 3.19 10.03
59. 31 dic. 2017 14.51% 0.98% 189.98 0.00 -0.54
Total (Σ): 1,888.17 424.45 388.57

Mostrar todo

VarianzaESRX = Σ(RESRX,t–RESRX)2 ÷ (59 – 1)
= 1,888.17 ÷ (59 – 1)
= 32.55

VarianzaS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 424.45 ÷ (59 – 1)
= 7.32

CovarianzaESRX, S&P 500 = Σ(RESRX,t–RESRX)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 388.57 ÷ (59 – 1)
= 6.70

Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaESRX 32.55
VarianzaS&P 500 7.32
CovarianzaESRX, S&P 500 6.70
Coeficiente de correlaciónESRX, S&P 5001 0.43
βESRX2 0.92
αESRX3 -0.21%

Cálculos

1 Coeficiente de correlaciónESRX, S&P 500
= CovarianzaESRX, S&P 500 ÷ (Desviación estándarESRX × Desviación estándarS&P 500)
= 6.70 ÷ (5.71% × 2.71%)
= 0.43

2 βESRX
= CovarianzaESRX, S&P 500 ÷ VarianzaS&P 500
= 6.70 ÷ 7.32
= 0.92

3 αESRX
= PromedioESRX – βESRX × PromedioS&P 500
= 0.73% – 0.92 × 1.02%
= -0.21%

Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento del LT Treasury Composite1 RF 4.67%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 13.79%
Riesgo sistemático de Express Scripts acciones ordinarias βESRX 0.92
 
Tasa de rendimiento esperada de las acciones ordinarias de Express Scripts3 E(RESRX) 13.02%

1 Promedio no ponderado de los rendimientos de las ofertas de todos los bonos del Tesoro de EE. UU. con cupón fijo en circulación que no vencen ni son rescatables en menos de 10 años (proxy de tasa de rendimiento libre de riesgo).

2 Ver detalles »

3 E(RESRX) = RF + βESRX [E(RM) – RF]
= 4.67% + 0.92 [13.79% – 4.67%]
= 13.02%